Probability Analysis: Tools for SPY Options Pricing

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Sep 25 (1D) Sep 26 (2D) Sep 29 (5D) Sep 30 (6D) Oct 01 (7D) Oct 02 (8D) Oct 03 (9D) Oct 06 (12D) Oct 07 (13D) Oct 08 (14D) Oct 10 (16D) Oct 17 (23D) Oct 24 (30D) Oct 31 (37D) Nov 07 (44D) Nov 14 (51D) Nov 21 (58D) Nov 28 (65D) Dec 05 (72D) Dec 12 (79D) Dec 19 (86D) Dec 26 (93D)
lower 657.534 655.183 650.519 649.307 648.193 647.157 646.183 643.549 642.746 641.973 640.507 635.99 632.123 628.686 625.561 622.677 619.985 617.451 615.05 612.763 610.575 608.475
upper 668.886 671.237 675.901 677.113 678.227 679.263 680.237 682.871 683.674 684.447 685.913 690.43 694.297 697.734 700.859 703.743 706.435 708.969 711.37 713.657 715.845 717.945
expected move 5.676 8.027 12.691 13.903 15.017 16.053 17.027 19.661 20.464 21.237 22.703 27.22 31.087 34.524 37.649 40.533 43.225 45.759 48.16 50.447 52.635 54.735
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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